Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis

Yunus Emre Turan; Dinara Zubaidullina

Makale detayları

Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis

Yazarlar:

Yunus Emre Turan | Dinara Zubaidullina

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 41, pp.97-108

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001340595

pISSN:

2651-396X

Anahtar kelimeler:

Özet:

 The management of expectations is a critical factor in shaping the dynamics of financial markets. Therefore, changes in confidence indices, which reflect the expectations of economic agents, are closely monitored by economists. This study examines the sectoral relationships between the Financial Services Confidence Index and stock market returns in Turkey for the period from June 2012 to May 2024. To compare the causality results, the relationships between the variables were analysed using the Toda-Yamamoto 1995 and Hatemi-J 2012 causality tests. According to the results of the Toda-Yamamoto 1995 causality test, no causality relationship was found between the Financial Services Confidence Index and the Borsa Istanbul BIST sector index returns. However, an asymmetric causality relationship was identified between the variables. Thus, it is observed that hidden relationships, which could not be detected by the Toda-Yamamoto 1995 causality test, were revealed through the asymmetric causality test. According to the results of the asymmetric causality test, a causality relationship from the Financial Services Confidence Index to the BIST Financial index returns was found for negative shocks. There is a causality relationship from the BIST Electricity index and the BIST Financial Leasing and Factoring index returns to the Financial Services Confidence Index in both positive and negative shocks. A causality relationship from the BIST Information Technology index and the BIST Technology index returns to the Financial Services Confidence Index was found in positive components. A causality relationship from the BIST Services index and BIST Industrial index returns to the Financial Services Confidence Index was also found among the negative shocks. Considering the results obtained from the study, it can be stated that the Financial Services Confidence Index is a variable that should be considered in terms of changes in financial markets.

 The management of expectations is a critical factor in shaping the dynamics of financial markets. Therefore, changes in confidence indices, which reflect the expectations of economic agents, are closely monitored by economists. This study examines the sectoral relationships between the Financial Services Confidence Index and stock market returns in Turkey for the period from June 2012 to May 2024. To compare the causality results, the relationships between the variables were analysed using the Toda-Yamamoto 1995 and Hatemi-J 2012 causality tests. According to the results of the Toda-Yamamoto 1995 causality test, no causality relationship was found between the Financial Services Confidence Index and the Borsa Istanbul BIST sector index returns. However, an asymmetric causality relationship was identified between the variables. Thus, it is observed that hidden relationships, which could not be detected by the Toda-Yamamoto 1995 causality test, were revealed through the asymmetric causality test. According to the results of the asymmetric causality test, a causality relationship from the Financial Services Confidence Index to the BIST Financial index returns was found for negative shocks. There is a causality relationship from the BIST Electricity index and the BIST Financial Leasing and Factoring index returns to the Financial Services Confidence Index in both positive and negative shocks. A causality relationship from the BIST Information Technology index and the BIST Technology index returns to the Financial Services Confidence Index was found in positive components. A causality relationship from the BIST Services index and BIST Industrial index returns to the Financial Services Confidence Index was also found among the negative shocks. Considering the results obtained from the study, it can be stated that the Financial Services Confidence Index is a variable that should be considered in terms of changes in financial markets.

 The management of expectations is a critical factor in shaping the dynamics of financial markets. Therefore, changes in confidence indices, which reflect the expectations of economic agents, are closely monitored by economists. This study examines the sectoral relationships between the Financial Services Confidence Index and stock market returns in Turkey for the period from June 2012 to May 2024. To compare the causality results, the relationships between the variables were analysed using the Toda-Yamamoto 1995 and Hatemi-J 2012 causality tests. According to the results of the Toda-Yamamoto 1995 causality test, no causality relationship was found between the Financial Services Confidence Index and the Borsa Istanbul BIST sector index returns. However, an asymmetric causality relationship was identified between the variables. Thus, it is observed that hidden relationships, which could not be detected by the Toda-Yamamoto 1995 causality test, were revealed through the asymmetric causality test. According to the results of the asymmetric causality test, a causality relationship from the Financial Services Confidence Index to the BIST Financial index returns was found for negative shocks. There is a causality relationship from the BIST Electricity index and the BIST Financial Leasing and Factoring index returns to the Financial Services Confidence Index in both positive and negative shocks. A causality relationship from the BIST Information Technology index and the BIST Technology index returns to the Financial Services Confidence Index was found in positive components. A causality relationship from the BIST Services index and BIST Industrial index returns to the Financial Services Confidence Index was also found among the negative shocks. Considering the results obtained from the study, it can be stated that the Financial Services Confidence Index is a variable that should be considered in terms of changes in financial markets.

 Finansal piyasaların dinamiklerini şekillendirmede beklentilerin yönetilmesi önemli bir husustur. Bu nedenle, iktisadi ajanların beklentilerini yansıtan güven endekslerindeki değişimler ekonomistler tarafından dikkatle takip edilmektedir. Bu çalışmada Türkiyede Haziran 2012-Mayıs 2024 dönemi için finansal hizmetler güven endeksi ve borsa endeks getirileri arasındaki sektörel bazlı ilişkiler açıklanmaktadır. Çalışmada nedensellik sonuçların üzerinde karşılaştırma yapılabilmesi amacıyla değişkenler arasındaki ilişki Toda-Yamamoto 1995 ve Hatemi-J 2012 nedensellik testleri kullanılarak incelenmiştir. Toda-Yamamoto1995 nedensellik testi sonuçlarına göre finansal güven endeksi ile Borsa İstanbul BİST sektör endeksleri getirileri arasında bir nedensellik ilişkisinin varlığı tespit edilememiştir. Bununla birlikte, değişkenler arasında asimetrik bir nedensellik ilişkisi saptanmıştır. Böylelikle, Toda-Yamamoto 1995 nedensellik testinin tespit edemediği saklı ilişkilerin asimetrik nedensellik testi yardımıyla ortaya çıkarıldığı görülmektedir. Asimetrik nedensellik testi sonuçlarına göre, negatif şoklar için finansal hizmetler güven endeksinden BİST Mali endeks getirilerine doğru nedensellik bulunmaktadır. BİST Elektrik endeksi ve BİST Finansal Kiralama Faktöring endeksi getirilerindeki hem pozitif hem de negatif şoklardan finansal hizmetler güven endeksine doğru bir nedensellik ilişkisi bulgusuna ulaşılmıştır. BİST Bilişim endeksi ve BİST Teknoloji endeksi getirilerinden finansal hizmetler güven endeksine doğru bir nedensellik pozitif bileşenlerde tespit edilmiştir. BİST Hizmetler endeksi ve BİST Sınai Endeksi getirilerinden finansal hizmetler güven endeksine doğru bir nedensellik ilişkisi de negatif şoklar arasında tespit edilmiştir. Çalışmadan elde edilen sonuçlar ışığında, finansal hizmetler güven endeksinin finansal piyasalardaki değişimler açısından dikkate alınması gereken bir değişken olduğunu ifade etmek mümkündür.

Makale detayları

Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis

Yazarlar:

Yunus Emre Turan | Dinara Zubaidullina

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 41, pp.97-108

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001340595

pISSN:

2651-396X

Financial Services Confidence Index

Sector Indices

Toda-Yamamoto (1995) causality test

Asymmetric causality testFinansal Hizmetler Güven Endeksi

Sektör Endeksleri

Toda- Yamamoto Nedensellik Testi

Hatemi-J Asimetrik Nedensellik Testi

Sayı

Makale detayları

Yazarlar: Yunus Emre Turan | Dinara Zubaidullina

Yayıncı: Istanbul University

Ana Başlıklar: Ekonometri (Diğer)

Dergi: EKOIST Journal of Econometrics and Statistics Issue 41, pp.97-108

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001340595

pISSN: 2651-396X

Sayı

Yazarlar:

Yunus Emre Turan | Dinara Zubaidullina

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri (Diğer)

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 41, pp.97-108

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001340595

pISSN:

2651-396X